國立虎尾科技大學 |

Advances in Credit Risk Modeling.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Advances in Credit Risk Modeling./
作者:	Neuberg, Richard.
面頁冊數:	1 online resource (162 pages)
附註:	Source: Dissertation Abstracts International, Volume: 78-06(E), Section: B.
Contained By:	Dissertation Abstracts International78-06B(E).
標題:	Statistics. -
電子資源:	click for full text (PQDT)
ISBN:	9781369535518

Advances in Credit Risk Modeling.
Neuberg, Richard.

Advances in Credit Risk Modeling. - 1 online resource (162 pages)

Source: Dissertation Abstracts International, Volume: 78-06(E), Section: B.

Thesis (Ph.D.)

Includes bibliographical references

Following the recent financial crisis, financial regulators have placed a strong emphasis on reducing expectations of government support for banks, and on better managing and assessing risks in the banking system. This thesis considers three current topics in credit risk and the statistical problems that arise there.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369535518Subjects--Topical Terms:

556824
Statistics.
Index Terms--Genre/Form:

554714
Electronic books.

Advances in Credit Risk Modeling.
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100 1 $a Neuberg, Richard. $3 1179143
245 1 0 $a Advances in Credit Risk Modeling.
264 0 $c 2017
300 $a 1 online resource (162 pages)
336 $a text $b txt $2 rdacontent
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338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-06(E), Section: B.
500 $a Adviser: Paul Glasserman.
502 $a Thesis (Ph.D.) $c Columbia University $d 2017.
504 $a Includes bibliographical references
520 $a Following the recent financial crisis, financial regulators have placed a strong emphasis on reducing expectations of government support for banks, and on better managing and assessing risks in the banking system. This thesis considers three current topics in credit risk and the statistical problems that arise there.
520 $a The first of these topics is expectations of government support in distressed banks. We utilize unique features of the European credit default swap market to find that market expectations of European government support for distressed banks have decreased --- an important development in the credibility of financial reforms.
520 $a The second topic we treat is the estimation of covariance matrices from the perspective of market risk management. This problem arises, for example, in the central clearing of credit default swaps. We propose several specialized loss functions, and a simple but effective visualization tool to assess estimators. We find that proper regularization significantly improves the performance of dynamic covariance models in estimating portfolio variance.
520 $a The third topic we consider is estimation risk in the pricing of financial products. When parameters are not known with certainty, a better informed counterparty may strategically pick mispriced products. We discuss how total estimation risk can be minimized approximately. We show how a premium for remaining estimation risk may be determined when one counterparty is better informed than the other, but a market collapse is to be avoided, using a simple example from loan pricing. We illustrate the approach with credit bureau data.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0463
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Columbia University. $b Statistics. $3 1179144
773 0 $t Dissertation Abstracts International $g 78-06B(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10253545 $z click for full text (PQDT)